Observations: level 3 market depth


This is kotakbank snapshot intraday.
Who puts those 1/single digit quantity orders (check the sell side orders) at all the pip difference?
may not be any retail trader… is this 1 leaf out of playbook of some big-shots?

1 Like

algorithmic trades? @economiconed

algo trades ok… but seem to be inefficient method… and it shows illiquidity on the sell side…
or the big folks are playing on the BUY side(banks’ treasuries which dont have to pay any brokerages or charges) and trying to trigger all the stop losses in a domino effect on the SELL side??

1 Like

on what time you have taken this SC?
is it in live trading?

yes, this was during market hours today… about ~ 2.20 pm, 23 december 2020

ok, the volume in cash market is falling day by day, but i don’t think that any major stock like kotak may have very few buyer/seller stood, as we see in your screenshot. may be there is any connectivity issue with your internet connection. sometimes tick by tick data not get updated due to slow connection or strong firewall/antivirus block it. so first pls check it. tomorrow i will check many scripts to verify such issue.

1 Like

The hierarchy is :legends, then machines algorithms fully known to only them, then mini legends , then normal people like you and me. No matter how much we use our brain about these, there would be many factors eg. Orders may be 10× of the displayed, it can get cancelled like day b4 yday etc. and all… And at end, your strategy would touch the magical figure of 50% success rate!

Those 1 share orders are to check the strength of the share.
Whether any big buyer or seller is present that might have a hidden order

Thanks for these ‘other’ interpretations.

But I think, more than the connectivity, its how the data is disseminated… Is every datagram from the server cannot be time sliced… i.e very tough to get say level-1 of all market-watch (say all 50*5 scrips). A more efficient and correct way the data should be delivered is, as a whole packet.
So in this case… say of all the scrips (max possible 50) in a market watch, I am checking only 1 or upto 5 scrips with level-3 data. Then the server should deliver the packet level-1 for 45 scrips whose LTP is updated as we see, and level-3 data for the 5-scripts. It cant and should not come in pieces like only Buy Side in one packet and sell side in another packet which can be stale data.

Am not sure how it works, but need to confirm. But for the lack of any resources, this is how I imagine it would be.
Appreciate if anyone from zerodha core tech-team can throw light on this!!

Agreed, I did miss that point. I checked that the disclosed quantity shud by at least 10% of order quantity( this is in KITE). Then all these 1 qty would be 10 qty, and also it can be algo bot placing such orders. But still feel its showcasing one facet of how these non-retail algo/props/banks play the game.

Also is this 10% rule(minimum disclosed qty) imposed by zerodha or is it mandatory for any type of order across exchanges?

Yes, perhaps, a retail trader will mostly be a step behind, due to lack of so many things he is unable to access (curse of being a retail trader).

The 10% rule is mostly done by retail brokers like zerodha.

There are many order placing algos where the order is not even sent to the exchange.

That means that when I set a buy order for eg 100 and the price reaches 100 only then will the order be sent by algo. It won’t be sent as limit order for 100 when placing it.

Those 1 qty share are helpful to identify big buyer/seller in the market.

i agree, we should get at least 5 scripts level-3 data.

the SC is taken on mobile app (i think), i will try today on desktop web version.

also we can try at other broker data to crosscheck.

another one point i want say that, SL-M order placed by users/operators at broker end, can not be seen by us as they are not on exchange.
let me explain, most of time i enter in any position with SL-M order, so my orders aren’t visible until the price triggered. my trade get executed as the price triggered. unlike that many operators/ algo programs might trade like that.
thanks

May be. And considering what we see on the market depth is the data for the orders which is already pushed to the exchange… so many possibilities (a retail trader’s hallucinations you can say… )
Here is another screenshot (Desktop, kite) 12:42 PM, 24th december 2020 and looks even stranger!!

i’m attaching 3 SC taken from web kite on 3 different time.
for time, pls chk LTT on the image.

3rd sc is of interest, this time you got it on the BUY side.
Convincingly appears to be a SL hunting strategy… this way they form the whole chain from LC to UC on both BUY and SELL side and hit the retailers in pockets of pip-gaps. What do you think @eaglem?

1 Like

Yes, 100% agreed.
no doubt,big players are doing this. but a retailer can’y beat them. regulators are like Dhrutarashtra, so they can’t see this game.
its better to trade in f&O if qty are big.

Agree, its jungle-raj in there, strong section of traders wiping the floor off of the weak.

Problem is largely due to the fact of using Hedging tools for excessive speculation egged by the ease-of-access and the lure of shortcut-to-riches by the exchanges/brokers/banks/govt which have structured the secondary markets to draw blood, acting like mythological vish-kanyas for which there are enough gullible retail-traders to fall prey, difficult to ignore, difficult to be associated with.

1 Like

yes, well said.

@siva @ShubhS9 here is a snapshot from few minutes back.
BANKNIFTY option level-3 data seem to be stuck/not updating for about 15 minutes now. I have observed this often, while level-1/5-deep numbers keep ticking properly.
Is this a known problem across the kite-web?

Even now after 20 minutes, LTP is 220, depth shows the same 268/269 data.
Please check and help mitigate the problem.